题目：有限应变量和生存性分析模型的估计  

(Estimation of the Limited Dependent Variable and Survival Analysis)

演讲者：唐镭镭

主持人：安然助理教授

时间地点：

12月14日 嘉庚一509

上午9:30-12:00 下午13:00-15:30

12月15日 嘉庚二111

上午9:30-12:00 下午13:00-15:30

(15日下午为交流沟通时间，其余为讲座时间)

摘要：

Limited dependent variable models, also known as qualitative response, categorical, or discrete models, are regression models in which dependent variables take discrete values. These models have numerous applications in both the social and natural science because many behavioural responses are qualitative in nature. This short course begins with a discussion of the model for a univariate binary dependent variable, and then moves on to multinominal models. The emphasis is on the theory of estimation (hypothesis testing and empirical examples to a lesser extent due to the constraint of timing).

A related but advanced topic is survival analysis (SA). SA is a class of statistical methods for studying the occurrence and timing of events. SA is applied in the fields of sociology, engineering, economics, and medical studies. We will start with the introduction of the features of survival data, followed by describing the concepts of survival distributions and hazard rate functions that are commonly used. We further introduce the relationships among failure function, survivor function, probability density function, hazard function, and cumulative hazard function. Various forms for the hazard rate are going to be specified. Again, the emphasis is on the estimation of survival analysis models, for example, the proportional hazard (PH) model, and the associated implications of PH model.

This course is based on the assumption that the students are reasonably familiar with the ordinary least square regression (OLS), maximum likelihood estimation (MLE), and basic numerical analysis.

个人简介：

 · 现在University of Strathclyde (Scotland, UK)任金融学高级讲师。

· 于2001年在University of Southampton (UK) 获哲学博士， 并于2001年至2005年先后在University of Southampton 和 Cass Business School进行博士后工作。

· 主要研究方向是有限应变量和生存性分析统计模型的应用。

· 科研文章发表期刊有Management Science, European Journal of Operational Research, Journal of Operational Research Society, Journal of Empirical Finance, and European Journal of Finance等。

· 主要教学课程是高级计量和MATLAB编程。